Monoyios, Michael (2006) Characterisation of optimal dual measures via distortion. Decisions in Economics and Finance, 29 . pp. 95119.
This is the latest version of this item.

PDF
210kB 
Abstract
We derive representations for optimal martingale measures in a twofactor Markovian model, by seeking ramifications of a distortion power solution (Zariphopoulou, 2001) of the primal utility maximisation problem, for the dual problem. This provides an alternative to existing methods in the literature for characterising optimal measures, and gives new results in the form of a novel representation for the dual stochastic control problem, and in the form of Esscher transform relations between the optimal measure and the minimal measure.
Item Type:  Article 

Subjects:  O  Z > Partial differential equations O  Z > Probability theory and stochastic processes 
Research Groups:  Mathematical and Computational Finance Group 
ID Code:  466 
Deposited By:  Professor Michael Monoyios 
Deposited On:  06 Dec 2006 
Last Modified:  29 May 2015 18:22 
Available Versions of this Item
 Characterisation of optimal dual measures via distortion. (deposited 06 Dec 2006) [Currently Displayed]
Repository Staff Only: item control page